But he insists Blues' owner Carton Yeung is still "right behind us" in his attempt to bring in new blood up front.
McLeish has been unsuccessful in his efforts to sign Kenny Miller and Robbie Keane from Rangers and Tottenham respectively despite a fee being agreed with both clubs.
He is now being linked with a move for Manchester City striker Jo.
He said: "Am I interested in Jo? I don't want to talk about names. We've already lost out on a couple this week in Keane and Miller.
"We wish the two guys well in whatever they do and we've just got to move on and look at the other names we have on the list."